Factor Modelling for Investment Management
Short course
In New York (USA), London and Singapore (Singapore)
Description
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Type
Short course
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Location
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Duration
2 Days
Review key techniques and practical challenges when applying factor models to investment management. Economic as well as statistical aspects will be covered in a balanced manner. The course features practical applications of all concepts discussed, using Excel models with real-world and relevant data.
Facilities
Location
Start date
Start date
Start date
Start date
About this course
- Understand quantitative approaches used in factor modelling today
- Develop basic factor models for equity, fixed income and multi-asset class portfolios
- Use factor models in performance & risk analysis as well as asset allocation
- Quantitative Analysts
- Risk Managers
- Portfolio Managers
- Investment Consultants
- Financial Economist
- Basic understanding of Modern Portfolio Theory (MPT) and statistics
- Good familiarity with Microssoft Excel
Reviews
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 15 years
Subjects
- Finance
- Financial
- Investing
- Investment manager
- Investment Management
- Investment
- IT risk
- Risk
- Finance strategy
- Investment strategies
- Banking
- Investment Banking
- Budgeting
Teachers and trainers (1)
Andreas Steiner
Teacher
Andreas Steiner has over 10 years of practical experience in investment management. He has held performance and risk-related roles in banks and fund management companies and was Head of Investment Risk Management at a private bank in Switzerland. Mr Steiner is an external lecturer at the Zurich University of Applied Sciences and holds a Master's degree magna cum laude in Economics from the University of Zurich with specializations in Monetary Economics and Financial Markets. He has a wide range of publications on asset allocation and portfolio construction.
Course programme
Day One
Introduction and course outline Background
- Overview factor research and applications: from the CAPM to "Smart Beta"
- Factor models: fundamental, macroeconomic, statistical and hybrid
- Commercial versus custom factor models
- Linear regression models: assumptions, estimation, analytics (R^2, t-stats, F-test, DW)
- Cross-section versus time-series regressions in finance
- Overview advanced regression techniques: non-linear variables, dummy variables, non-linear estimation techniques, time-variable regression parameters
Workshop: Style analysis of a hedge fund
- Big Data & Data Mining: introduction to LASSO
- Limits to quantitative analysis: system complexity, data issues, stability, out-of-sample performance
Workshop: Identifying hedge fund performance factors
Statistical Factor Models- Understanding principal component analysis (PCA)
Workshops: Inferring the factor structure from single stocks, modelling yield curve dynamics and identifying extreme scenariod for stress testing purposes
- Beyond PCA: Introduction to independent component analysis (ICA)
Day Two
Fundamental Factor Modelling
- Asset pricing and fundamental factors, factor-mimicking portfolios
Workshops: Building a fundamental factor model for an equity portfolio, modelling the momentum factor
Macroeconomic Factor Modelling- Real and monetary macroeconomic factors and transmission mechanisms
Workshop: Building a macroeconomic model for a multi-asset class portfolio
Applications of Factor Models- Performance Analysis
- Return contributions from factors
- True alphas & hidden factor exposures
Workshop: Factor performance attribution
- Risk Management
- Ex ante absolute and relative portfolio risk decomposition
Workshop: Factor attribution of absolute and relative portfolio risk
Conclusions & outlook
Factor Modelling for Investment Management